Short-term market efficiency in the futures markets: TOPIX futures and 10-year JGB futures [An article from: Global Finance Journal]

by J. Rentzler, K. Tandon, S. Yu

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This digital document is a journal article from Global Finance Journal, published by Elsevier in . The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

Description:
This paper examines the effect of the past price information on the two major futures contracts traded on the Tokyo Stock Exchange: the TOPIX futures and the 10-year JGB futures. The unique 90-min lunch break on the exchange creates two mini-sessions in each calendar-trading day. This paper compares these contracts between the morning and afternoon sessions. In addition, percentage-returns and tick-size-returns are used to measure the intraday price movements following past price performance. These futures contracts present evidence of short-term market inefficiency over the period 1994 to 2003.

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